The files have been save into this directory "C:\WINDOWS\system32\conf" they are hidden though...here is what you have to do so you are able to see and delete them.

1. Go to C:\WINDOWS\system32\conf (conf is a hidden folder)

2. Go to tools - folder options - view

3. uncheck "hide unprotected operating system files" (under hidden files and folder click "show hidden files and folders" if you want to see what has been logged, there should be a file that you can open with notepad.

4. Keylogger files should be shown and you should be able to delete them ^^